An Empirical Analysis of the Relationship Between Türkiye’s CDS Premium and Economic, Financial and Political Risk-Reference-Cited by-同舟云学术

An Empirical Analysis of the Relationship Between Türkiye’s CDS Premium and Economic, Financial and Political Risk

Published:2023-10-26 Issue:58 Volume:31 Page:81-104
ISSN:1305-5577
Container-title:Sosyoekonomi
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Author:

SOYU Esra¹^ORCID,ILIKKAN ÖZGÜR Munise²^ORCID

Affiliation:

1. AKSARAY ÜNİVERSİTESİ, AKSARAY MESLEK YÜKSEKOKULU

2. AKSARAY ÜNİVERSİTESİ, İKTİSADİ VE İDARİ BİLİMLER FAKÜLTESİ, İKTİSAT BÖLÜMÜ

Abstract

This study investigates the causal relationship between Türkiye’s economic, financial, and political risk rates and CDS premiums. This assessment uses the Bootstrap TY and time-varying causality test to scrutinise the relationship between the risk rates and CDS premium between the periods 2000:10 and 2020:06. While the former analysis finds no causal relationship among the variables, the latter analysis deduces a significant causality. The Bootstrap TY asymmetric causality test findings discover causality arising from the negative shocks from political risk to CDS premium. The findings of the time-varying causality test identify periods in Türkiye in which a causal relationship is prevalent between economic, financial, and political risk with CDS premium.

Publisher

Sosyoekonomi

Subject

Immunology and Allergy

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